Exact methods for large-scale multi-period financial planning problems

DOI10.1007/S10287-006-0037-5MaRDI QIDQ839841zbMATH OpenOpenAlexFDO

Authors Roberto Baldacci, Marco A. Boschetti, Nicos Christofides, Simon Christofides

Publication date 3 September 2009

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10287-006-0037-5

zbMATH Keywords

linear programminglarge scale optimizationportfolio managementcolumn/row generation

Mathematics Subject Classification ID

Linear programming (90C05) Large-scale problems in mathematical programming (90C06)

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Cites work

• A New Scenario Decomposition Method for Large-Scale Stochastic Optimization
• A convergent criss-cross method
• A finite conformal-elimination free algorithm over oriented matroid programming
• A regularized decomposition method for minimizing a sum of polyhedral functions
• A stochastic programming model for money management
• Criss-cross methods: A fresh view on pivot algorithms
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• Dynamic stochastic programming for asset-liability management
• Exact methods for large-scale multi-period financial planning problems
• High-Performance Computing for Asset-Liability Management
• LP solvable models for portfolio optimization: a classification and computational comparison
• New variants of finite criss-cross pivot algorithms for linear programming
• Stochastic Network Programming for Financial Planning Problems
• The Criss-Cross Method for Solving Linear Programming Problems

Cited in

(4)

• Concepts, technical issues, and uses of the Russell-Yasuda Kasai financial planning model
• Exact methods for large-scale multi-period financial planning problems
• Solving long-term financial planning problems via global optimization
• Large-scale financial planning via a partially observable stochastic dual dynamic programming framework

Describes a project that uses

Uses Software

• CPLEX

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